An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations (Q5175453)
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scientific article; zbMATH DE number 6407036
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations |
scientific article; zbMATH DE number 6407036 |
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An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations (English)
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23 February 2015
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explicit scheme
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second-order
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error estimate
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decoupled forward-backward stochastic differential equations
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Itô-Taylor type schemes
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numerical example
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